Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0530
Annualized Std Dev 0.3297
Annualized Sharpe (Rf=0%) -0.1606

Row

Daily Return Statistics

Close
Observations 3980.0000
NAs 1.0000
Minimum -0.3117
Quartile 1 -0.0063
Median 0.0006
Arithmetic Mean 0.0000
Geometric Mean -0.0002
Quartile 3 0.0077
Maximum 0.2786
SE Mean 0.0003
LCL Mean (0.95) -0.0006
UCL Mean (0.95) 0.0007
Variance 0.0004
Stdev 0.0208
Skewness -1.0873
Kurtosis 34.4250

Downside Risk

Close
Semi Deviation 0.0157
Gain Deviation 0.0151
Loss Deviation 0.0194
Downside Deviation (MAR=210%) 0.0196
Downside Deviation (Rf=0%) 0.0157
Downside Deviation (0%) 0.0157
Maximum Drawdown 0.8131
Historical VaR (95%) -0.0269
Historical ES (95%) -0.0531
Modified VaR (95%) -0.0257
Modified ES (95%) -0.0257
From Trough To Depth Length To Trough Recovery
2006-12-27 2020-03-18 NA -0.8131 3582 3328 NA
2005-09-08 2005-12-21 2006-04-06 -0.1282 146 74 72
2006-04-11 2006-06-28 2006-08-21 -0.0734 92 55 37
2006-10-10 2006-10-17 2006-11-30 -0.0256 37 6 31
2005-06-01 2005-07-19 2005-09-02 -0.0240 67 34 33

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA -0.2 0 0.8 -0.2 -0.2 -1.5 -0.4 -0.1 -1.8
2006 -0.7 1 0.5 -0.4 0.1 1.5 0.4 0.2 0.7 -0.6 -0.3 0.2 2.5
2007 1 -0.7 0.6 0.3 -0.3 0.4 -0.4 1 1.1 -0.8 0.6 -0.3 2.6
2008 0.7 1.3 1.7 2.5 0 -0.1 -0.7 -0.4 2.6 3.7 -4.3 -0.2 6.8
2009 -1.1 -6.9 -0.1 5.1 3 -0.1 -0.5 0.1 -1.8 -1 -0.1 -3.2 -6.9
2010 1.9 -0.6 0.5 -1 -0.1 -1.7 0.8 2.1 1.2 0.5 1.3 0.7 5.7
2011 1.1 0.3 1.2 -0.7 -0.4 0.7 4.6 -0.6 0.1 0.5 -0.3 0.8 7.4
2012 0.7 -0.2 0.6 -0.5 -1 0.3 1.3 0.1 0 1.2 -1.1 0 1.4
2013 0.3 0 0 1.7 1.3 0.7 -0.8 0.8 0.9 -0.4 0.4 0.5 5.6
2014 -0.1 0 1.2 0 -0.6 0.3 -1.1 0.6 6.6 1.2 -2.9 -0.7 4.2
2015 0.7 -0.6 0.9 1.3 1.9 1.9 3 1.5 -2.5 2.3 -0.3 1.2 11.6
2016 -0.7 -0.2 -2.4 0.4 -0.5 0.6 -0.3 0.6 -0.1 0.3 -0.2 -1 -3.5
2017 0.4 -0.3 -0.2 -0.7 0 0.5 -0.6 -0.8 1.2 -0.7 -0.7 0.1 -1.8
2018 -1.5 0.1 1 0 0.7 0.5 -0.1 0.7 1.1 0.4 0.2 1.9 5
2019 -0.4 -0.4 1.7 0.3 -1.2 0.4 -0.9 0.3 -0.5 0.2 -0.8 0.4 -1
2020 -1.6 -5 -6 -2.7 1.6 -0.1 -0.6 1.9 1.1 -0.3 3 0 -8.8
2021 1 0 0.9 NA NA NA NA NA NA NA NA NA 1.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2005-05-26  25.0 SPY    120.  0.0054   0.0064   0.038   -0.0114   0.0696    0.110   -0.149 GLD    41.7 -0.0043  -0.0069 
2 2005-05-27  25.0 SPY    120.  0.0017   0.0095   0.053   -0.0032   0.0654    0.121   -0.142 GLD    41.9  0.0046   0.0055 
3 2005-05-31  25.0 SPY    119. -0.0064  -0.0025   0.0322  -0.0144   0.0587    0.117   -0.134 GLD    41.6 -0.0055   0.0007 
4 2005-06-01  25   SPY    120.  0.0085   0.0084   0.0352  -0.0055   0.0691    0.124   -0.141 GLD    41.5 -0.00290 -0.00480
5 2005-06-02  25.0 SPY    121.  0.0022   0.0113   0.0357  -0.0038   0.0674    0.157   -0.124 GLD    42.1  0.0137   0.0055 
6 2005-06-03  25.0 SPY    120. -0.0051   0.0008   0.0226  -0.021    0.0719    0.148   -0.129 GLD    42.2  0.0017   0.0115 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart